Do nonlinearity, firm-specific coefficients, and losses represent distinct factors in the relation between stock returns and accounting earnings?

被引:71
作者
Lipe, RC [1 ]
Bryant, L
Widener, SK
机构
[1] Univ Oklahoma, Michael F Price Coll Business, Norman, OK 73019 USA
[2] Univ Colorado, Coll Business & Adm, Boulder, CO 80309 USA
关键词
capital markets; earnings response coefficients; persistence; earnings-return relation;
D O I
10.1016/S0165-4101(98)00022-6
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
Recent studies have provided theory and evidence that the contemporaneous relation between stock returns and accounting earnings is nonlinear, different for profits and losses, and different across firms. Since each factor can result from differences in earnings persistence, existing theory is ambiguous as to whether these factors are distinct or overlapping. Thus, we conduct a simultaneous examination. Our primary tests show that each factor explains a significant portion of the variance of returns after controlling for the other two factors, with firm-specific estimation providing the largest incremental explanatory power. Alternative tests produce similar conclusions. Empirically, the three factors are distinct. (C) 1998 Elsevier Science B.V. All rights reserved.
引用
收藏
页码:195 / 214
页数:20
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